Depends on race. Humans, Dwarves, Blood/High Elves and Draenei have a kinda light-y heaven analogue. Forsaken have a hell-y analogue. Orcs live on as spirits, worshipped by their future generations. Shamanistic trolls, dwarves, draenei, goblins, tauren might do the same as Orcs, while most would go to their Loa of the dead, Bwonsamde.

Tauren spirits go to the Earthmother. Night Elves become Wisp spirits off in the forest. Pandaren practice ancestor worship as well, so it's likely their spirits remain.

Goblins and Gnomes don't seem formally religious, but I would guess Gnomes do the human thing. Goblins do have a priest cast and have some sort of god of wealth (literally worship the almighty dollar). Hard to say, though. Presumably when they die they go to an unsecured bank vault.

We will not be conscious and go into non-existence. Though it's not a bad thing. Death should be as natural as birth, but we cling to ourselves, people and memory. That is why people actually follow Christianity. They don't really believe it and heaven. It's just a bargain for immortality. If people actually believed in heaven/hell they would be running mad in the streets.

This really isn't the right subforum for this discussion even if I agree with you up to that point. Not calling you out specifically but the conversation itself.

In the WoW universe there are plenty of spirits that interact with people all the time and they are able to see, touch and disperse them so clearly there's far different rules there than in this universe so it's easy to assume there's a plethora of essences kept and transported into different places.

This really isn't the right subforum for this discussion even if I agree with you up to that point. Not calling you out specifically but the conversation itself.

In the WoW universe there are plenty of spirits that interact with people all the time and they are able to see, touch and disperse them so clearly there's far different rules there than in this universe so it's easy to assume there's a plethora of essences kept and transported into different places.

Yea I understand. I just try and sneak in some ideas. So maybe one day people can assimilate it. That said corpse running certainly seems like a limbo type.

If you're even reading such a thing(which I think you not), then you should know that we don't know everything about many things, and saying that Heaves DOESN'T exist is pretty stupid.
People who're saying that the God or Heaven don't exist are novice in science, and probably should better read many books and think about it.

Science is not about denying the existence of, but proving. There are no scientific evidence of afterlife. At the best, we can say that we don't know. I've read the Bible, I know a lot about many other religions, but I've never felt or had any otherworldly events happen in my life; something that I can't really believe in without definitive proof. I'm pretty much agnostic in this case.

OT: Since Death Knights have been resurrected, can they not properly die again? Though Sylvanas has already died and resurrected afterwards (multiple times if I remember lore properly) doesn't this mean that she can enter her body after she dies again?

There is probably something for every type of person. In the Vol'jin book, when trolls die they go to the spirit realm of the Loa Bwonsamdi(http://wowpedia.org/Bwonsamdi) So I would imagine that others have other places.

There's no confirmed heaven equivalent as far as I know. As people have said, Sylvanas seems to have found a hell equivalent.

Here's an idea, though. What if Sylvanas did not end up in a hell after all? The only people to have ended up in that dark place have all had connections to the Lich King.

Warning: What follows is more or less just fan fiction. This is not a theory or anything, I just love piecing together bits of story.

Something that's always bothered me about Sylvanas is that she was a tragic, sympathetic character in Warcraft III, but in World of Warcraft, she's become a hypocrite who seems to get more "moustache-twirling" every time she does something. Blizzard even specifically acknowledged that she's becoming more and more like the Lich King every day: http://us.battle.net/wow/en/forum/topic/2721372142

Here's the thing, what if she was becoming the new Lich King? Not by her own will, of course. I came up with this idea after joking about Sylvanas somehow ending with a shard of Frostmourne in her. I can't imagine when that would have happened, but the Lich King really wanted to torture Sylvanas. What if, at some point, any point, he made her part of a long con? Ner'zhul seemed conspicuously absent in Wrath of the Lich King. He seemed to exist solely to be a plot point in the novel for Arthas to overcome (and that was a really inconsistent plot point). What if Ner'zhul felt he had corrupted Arthas enough to do his job, while setting up a plan B elsewhere, on the off chance Arthas failed?

In other words, unbeknownst to Sylvanas, Ner'zhul did something to set Sylvanas up as the next Lich King, in case he failed. Perhaps all that preparation he did to hide her body actually involved setting that body up as a Frostmourne-like trap, knowing she'd want it back. This would explain a lot of things. Why the Val'kyr seemed so eager to help her. Why, in the "hell" she went to, she could only recognize people related to the Lich King (her, Arthas, and Annhylde), not to mention the cold atmosphere and horrific clawed creatures match up with the Scourge's theme. Why Sylvanas is getting more and more like the Lich King by Blizzard's own words, despite the Lich King being everything she hates. It could even explain the always needing a Lich King plot hole. The Forsaken themselves could have been part of Ner'zhul's plan, not them regaining their free will, but giving Sylvanas a back-up army that would follow her willingly. Since otherwise the Forsaken's very existence contradicts the idea that we need a Lich King or the undead would be more dangerous.

Considering these ideas, I don't know whether or not Bolvar was in on it. His torture could have been done to condition him into a decoy. Tirion's not gonna expect that Ner'zhul is actively plotting if he thinks the Lich King is dormant on the throne. Bolvar could just be completely oblivious to the plan though, and honestly thought he was stopping the Scourge.

Again, I'm not saying Blizzard planned this all along, or is even planning it at all. I've never been right about upcoming story ideas. I just really enjoy writing stuff out like this.

Also, I'm sure someone will bring up that this would inevitably lead to killing another Horde leader. However, I don't see it that way, as I wouldn't expect the goal to be to kill her. I see this as a way to acknowledge Sylvanas' character derailment, while still giving her the chance to return to her original character and continue being a Horde racial leader. We'd just have to save her first.

The only specific mention of an "afterlife" in WoW that I've seen is in the RPG: http://wowpedia.org/Twisting_nether
If Blizz ever follows through on what they said they might do, going through the rpg and picking out which pieces are good/true and which aren't this would be an interesting tidbit. For now, it's all up to the imagination.